Riding the Nordic German Power-Spread: The Einar Aas Experiment
受埃纳尔·阿斯交易策略启发，研究北欧与德国电力期货价差中的套利机会，发现基于价差的多空策略能产生CAPM正阿尔法，证明存在套利证据。
Inspired by the initial success and eventual failure of Einar Aas’ trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously and the possibility of constructing a trading strategy that ultimately beats the markets. To do this, we first assess the risk premium and relevant Sharpe values for the two markets and observe significant differences. This is followed by a discussion as to how far the different risk premia and Sharpe values alone are evidence of arbitrage. The answer is, they are not. However, we then show that an intelligently chosen long-short strategy constructed in the Einar Aas spirit can generate a positive alpha in the CAPM sense, hence providing evidence of arbitrage.